Estimation of panel data partly specified Tobit regression with fixed effects

摘要

This paper presents an estimation of a partly specified Tobit model with fixed effects by extending the symmetric trimming procedure proposed in Honore (1992). Under some sufficient conditions, we present conditions to identify both the parametric and the nonparametric component of the unknown parameter. Under some sufficient conditions, we establish that the proposed estimates are consistent and the estimates of the parametric component are asymptotically normally consistent. Finally, we present some consistent covariance matrix for the estimates of the parametric component. (C) 2015 Elsevier B.V. All rights reserved.